It's not "stupid", it's the exact role of role-playing-games, you "act", and do "as if" you were that character, if you don't then the player just usually ends up playing arcade like and not worrying about anything. A true role player will always try to create a character (when creation of a character is possible) that fits part or all of his/her own personality, morality and beliefs. And when character creation isn't possible they take the one character that fits him or her the best. It's just like acting in a movie, same principle behind it, you assume the "role of" and you deal with it. Well of course anyone can create a character "just for fun" and "just to try out something", you know, not wanting to play seriously on purpose, that's certainly common, but I'm referring about when it gets serious, when the player says "ok, let's do this properly".
If you don't feel comfortable killing a specific character it's because you're attached to him/her. But don't get me wrong here, I've played a good number of mediocre RPG games in which absolutely no attachment was possible, when the entire game's general atmosphere was messed up and just plain boring, if the game, if the developers can't manage to immerse you in enough then it just won't work even if the game is labeled as a RPG, you need an engaging story line (mostly), good characters, good voice acting, and again, in the end it's very similar to a movie, if all the elements are present and of good enough quality you can be immersed in enough and laugh/cry, well in a RPG game you often have to take choices, sometimes you have different possible paths, you can be good, evil, neutral (or somewhere in between any of them). It's up to you, and how you want to play the game.
So yeah, anyway, it's not stupid, it's called playing a game, it's made to entertain and make you forget a little and temporarily about the world around you, get in, don't be shy to be immersed and if you can't kill one or more specific character(s) just don't do it, or do it and re-load the game prior to the event that makes you uncomfortable. I can give you so many examples. And here's one out of thousands I could mention, my current character in Fallout 3 (when I can play without crashing that is) is always taking the good options (dialog and actions, only attacking when fired upon, etc). I do that on purpose, of course, it's my choice, but when I got my fill of the game and I want to stand up and get out of my room and just do something else I often just fast travel to Megaton or some random place and I start killing everyone just for the heck of it, but I never save any progress at that point, when I come back I resume on playing "seriously", and when I do that I can't feasibly kill any character for no apparent reasons.
In the end, just look at the name of this game genre, it should remind you enough.
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